Hello,
I suppose you want to install the OS now...?
As well as that error message, was there an error code of some kind?
Open up the case, and verify that you've plugged in all IDE / SATA cables correctly, and that you've set the jumpers (Master / Slave / Cable Select) on CD-ROM drive(s) and hard drive(s) to correct configuation. Also verify that all molex power cables are plugged into the drives.
Power up the PC, go into your BIOS, and make sure that you've set the CD-ROM drive as the primary boot device in the device boot order.